New Issue: Credit Suisse prices $400,000 contingent coupon reverse convertibles linked to stocks

By Angela McDaniels

Tacoma, Wash., Oct. 4 – Credit Suisse AG, London Branch priced $400,000 of contingent coupon autocallable reverse convertible securities due April 5, 2021 linked to the lowest performing of the common stock of Bank of America Corp., the common stock of Bank of New York Mellon Corp., the common stock of Wells Fargo & Co. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, SA, according to a 424B2 filing with the Securities and Exchange Commission.

If each stock closes at or above its coupon barrier, 80% of initial share price, on a quarterly observation date, then the notes will pay a contingent coupon that quarter at the rate of 13.6% per year plus all prior unpaid contingent coupons, if any.

The notes will be automatically called at par if each stock close at or above its initial share price on any quarterly observation date.

The payout at maturity will be par unless any stock finishes below its knock-in level, 60% of its initial level, in which case investors will receive a number of shares of the lowest-performing stock equal to $1,000 divided by that stock’s initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Contingent coupon autocallable reverse convertible securities
Underlying stocks:	Bank of America Corp. (Symbol: BAC), Bank of New York Mellon Corp. (Symbol: BK), Wells Fargo & Co. (Symbol: WFC) and Banco Bilbao Vizcaya Argentaria, SA (Symbol: BBVA)
Amount:	$400,000
Maturity:	April 5, 2021
Coupon:	If each stock closes at or above coupon barrier on quarterly observation date, notes pay contingent coupon that quarter at rate of 13.6% per year plus all prior unpaid contingent coupons, if any
Price:	Par
Payout at maturity:	Par unless any stock finishes below knock-in level, in which case number of shares of lowest-performing stock equal to $1,000 divided by initial share price or, at issuer’s option, amount in cash equal to value of those shares
Call:	Automatically at par if each stock closes at or above initial share price on any quarterly observation date
Initial share prices:	$29.13 for Bank of America, $46.63 for Bank of New York Mellon, $48.87 for Wells Fargo and $5.13 for BBVA
Coupon barriers:	$23.304 for Bank of America, $37.304 for Bank of New York Mellon, $39.096 for Wells Fargo and $4.104 for BBVA, or 80% of initial share prices
Knock-in levels:	$17.478 for Bank of America, $27.978 for Bank of New York Mellon, $29.322 for Wells Fargo and $3.078 for BBVA, or 60% of initial share prices
Pricing date:	Sept. 26
Settlement date:	Sept. 30
Agent:	Credit Suisse Securities (USA) LLC
Fees:	2.35%
Cusip:	22549J2K5

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